def change(self, msg):
"""
Update inventory
:param msg: order update message from Bitfinex
:return: (void)
"""
old_order = self.order_map[msg['order_id']]
diff = msg['size'] - old_order['size']
vol_change = diff != float(0)
px_change = old_order['price'] != msg['price']
if px_change:
self.remove_order(old_order)
old_order['price'] = msg['price']
if vol_change:
old_order['size'] = msg['size']
self.insert_order(old_order)
elif vol_change:
old_order['size'] = msg['size']
adj_price = round_price(old_order['price'])
self.order_map[msg['order_id']] = old_order
self.price_dict[adj_price].remove_quantity(
quantity=diff, price=old_order['price'])
assert px_change is False
def remove_order(self, msg):
"""
Done messages result in the order being removed from map
:param msg:
:return:
"""
msg_order_id = msg.get('order_id', None)
if msg_order_id in self.order_map:
old_order = self.order_map[msg_order_id]
price = old_order.get('price', None)
adj_price = round_price(price)
if adj_price in self.price_dict:
if msg.get('reason', None) == 'canceled':
self.price_dict[adj_price].add_cancel(quantity=float(
msg.get('remaining_size')),
price=price)
self.price_dict[adj_price].remove_quantity(
quantity=old_order['size'], price=price)
self.price_dict[adj_price].remove_count()
if self.price_dict[adj_price].count == 0:
self.remove_price(adj_price)
elif RECORD_DATA:
print('%s remove_order: price not in price_map [%s]' %
(msg['product_id'], str(adj_price)))
del self.order_map[msg_order_id]
def remove_order(self, msg):
"""
Done messages result in the order being removed from map
:param msg: remove order message from Bitfinex
:return: (void)
"""
if msg['order_id'] in self.order_map:
old_order = self.order_map[msg['order_id']]
adj_price = round_price(old_order['price'])
if adj_price not in self.price_dict:
print(
'remove_order: price not in msg...adj_price = {} '.format(
adj_price))
print('Incoming order: %s' % msg)
print('Old order: %s' % old_order)
order_size = abs(old_order['size'])
self.price_dict[adj_price].add_cancel(quantity=order_size,
price=old_order['price'])
self.price_dict[adj_price].remove_quantity(
quantity=order_size, price=old_order['price'])
self.price_dict[adj_price].remove_count()
if self.price_dict[adj_price].count == 0:
self.remove_price(adj_price)
del self.order_map[old_order['order_id']]
elif RECORD_DATA:
print('remove_order: order_id not found %s\n' % msg)
def insert_order(self, msg):
"""
Create new node
:param msg:
:return:
"""
msg_order_id = msg.get('order_id', None)
if msg_order_id not in self.order_map:
order = {
'order_id': msg_order_id,
'price': float(msg['price']),
'size': float(msg.get('size') or msg['remaining_size']),
'side': msg['side'],
'time': msg['time'],
'type': msg['type'],
'product_id': msg['product_id']
}
self.order_map[order['order_id']] = order
price = order.get('price', None)
size = order.get('size', None)
adj_price = round_price(price)
if adj_price not in self.price_dict:
self.create_price(adj_price)
self.price_dict[adj_price].add_limit(quantity=size, price=price)
self.price_dict[adj_price].add_quantity(quantity=size, price=price)
self.price_dict[adj_price].add_count()
def match(self, msg):
"""
Change volume of book
:param msg:
:return:
"""
msg_order_id = msg.get('maker_order_id', None)
if msg_order_id in self.order_map:
old_order = self.order_map[msg_order_id]
order = {
'order_id': msg_order_id,
'price': float(msg['price']),
'size': float(msg['size']),
'side': msg['side'],
'time': msg['time'],
'type': msg['type'],
'product_id': msg['product_id']
}
adj_price = round_price(order['price'])
if adj_price in self.price_dict:
remove_size = order['size']
remaining_size = old_order['size'] - remove_size
order['size'] = remaining_size
self.order_map[old_order['order_id']] = order
old_order_price = old_order.get('price', None)
self.price_dict[adj_price].add_market(quantity=remove_size,
price=old_order_price)
self.price_dict[adj_price].remove_quantity(
quantity=remove_size, price=old_order_price)
else:
print('\nmatch: price not in tree already [%s]\n' % msg)
elif RECORD_DATA:
print('\n%s match: order id cannot be found for %s\n' %
(self.sym, msg))
def remove_order(self, msg):
"""
Done messages result in the order being removed from map
:param msg:
:return:
"""
if msg['order_id'] in self.order_map:
old_order = self.order_map[msg['order_id']]
adj_price = round_price(old_order['price'])
if adj_price in self.price_dict:
self.price_dict[adj_price].add_cancel(
quantity=old_order['size'], price=old_order['price'])
self.price_dict[adj_price].remove_quantity(
quantity=old_order['size'], price=old_order['price'])
self.price_dict[adj_price].remove_count()
if self.price_dict[adj_price].count == 0:
self.remove_price(adj_price)
elif RECORD_DATA:
print('%s remove_order: price not in price_map [%s]' %
(msg['product_id'], str(adj_price)))
del self.order_map[msg['order_id']]
def insert_order(self, msg):
"""
Create new node
:param msg: incoming new order
:return: (void)
"""
self.order_map[msg['order_id']] = msg
price = msg.get('price', None)
adj_price = round_price(price)
if adj_price not in self.price_dict:
self.create_price(adj_price)
quantity = abs(msg['size'])
self.price_dict[adj_price].add_limit(quantity=quantity, price=price)
self.price_dict[adj_price].add_quantity(quantity=quantity, price=price)
self.price_dict[adj_price].add_count()
def match(self, msg):
"""
This method is not implemented within Bitfinex's API.
However, I've implemented it to capture order arrival flows (i.e., incoming
market orders.) and to be consistent with the overarching design pattern.
Note: this event handler does not impact the LOB in any other way than updating
the number of market orders received at a given price level.
:param msg: buy or sell transaction message from Bitfinex
:return: (void)
"""
adj_price = round_price(msg['price'])
if adj_price in self.price_dict:
self.price_dict[adj_price].add_market(quantity=msg['size'],
price=msg['price'])
def change(self, msg):
"""
Update inventory
:param msg:
:return:
"""
if 'price' in msg:
if msg['order_id'] in self.order_map:
old_order = self.order_map[msg['order_id']]
new_size = float(msg['new_size'])
old_size = old_order['size']
diff = old_size - new_size
old_order['size'] = new_size
self.order_map[old_order['order_id']] = old_order
adj_price = round_price(old_order['price'])
self.price_dict[adj_price].remove_quantity(
quantity=diff, price=old_order['price'])
elif RECORD_DATA:
print('\n%s change: missing order_ID [%s] from order_map\n' %
(self.sym, msg))
def remove_order(self, msg):
"""
Done messages result in the order being removed from map
:param msg: remove order message from Bitfinex
:return: (void)
"""
msg_order_id = msg.get('order_id', None)
if msg_order_id in self.order_map:
old_order = self.order_map[msg_order_id]
adj_price = round_price(old_order['price'])
if adj_price not in self.price_dict:
print(
'remove_order: price not in msg...adj_price = {} '.format(
adj_price))
print('Incoming order: %s' % msg)
print('Old order: %s' % old_order)
order_size = abs(old_order.get('size', None))
order_price = old_order.get('price', None)
# Note: Bitfinex does not have 'canceled' message types, thus it is not
# possible to distinguish filled orders from canceled orders with the order
# arrival trackers.
self.price_dict[adj_price].add_cancel(quantity=order_size,
price=order_price)
self.price_dict[adj_price].remove_quantity(quantity=order_size,
price=order_price)
self.price_dict[adj_price].remove_count()
if self.price_dict[adj_price].count == 0:
self.remove_price(adj_price)
del self.order_map[old_order['order_id']]
elif RECORD_DATA:
print('remove_order: order_id not found %s\n' % msg)
